A study on estimating investment timing of real options

Engineering Economist

Volumn 53, Issue 3, 2008, Pages 197-229

  Han, Hyun J ^a   Park, Chan S ^a,b  

^a AUBURN UNIVERSITY   (United States)

^b AUBURN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

DECISION RULES; REAL OPTIONS;

TIME MEASUREMENT;

EID: 50549095875     PISSN: 0013791X     EISSN: 15472701     Source Type: Journal    
DOI: 10.1080/00137910802262895     Document Type: Article

References (16)

1. Amram, M. and Kulatilaka, N. (1999) Real Options: Managing Strategic Investment in an Uncertain World. Harvard Business School Press, Boston.
2. Brennan, M.J. and Schwartz, E.S. (1985) Evaluating natural resource investments. The Journal of Business, 58, 135-157.
3. Copeland, T. and Antikarov, V. (2003) Real Options: A Practitioner's Guide. Thomson Texere, New York.
4. Copeland, T. and Tufano, P. (2004) A real-world way to manage real options. Harvard Business Review, 82(2), 90-99.
5. Cox, J.C., Ross, S., and Rubinstein, M. (1979) Option pricing: a simplified approach. Journal of Financial Economics, 7, 229-263.
6. Dixit, A.K. and Pindyck, R.S. (1994) Investment under Uncertainty. Princeton University Press, Princeton, NJ.
7. Hull, J.C. (2005) Fundamentals of Futures and Options Markets, 5th ed, Pearson Prentice Hall, Upper Saddle River, NJ.
8. Luenberger, D.G. (1998) Investment Science. Oxford University Press, New York.
9. McDonald, R. and Siegel, D. (1986) The value of waiting to invest. The Quarterly Journal of Economics, 101, 707-727.
10. Moel, A. and Tufano, P. (2002) When are real options exercised? An empirical study of mine closings. The Review of Financial Studies, 15, No. 2, 35-64.
11. Park, C.S. (2006) Contemporary Engineering Economics, 4th ed. Prentice Hall, Upper Saddle River, NJ.
12. Rhys, H., Song, J., and Jindrichrovska, I. (2002) The timing of real option exercise: some recent developments. The Engineering Economist, 47, 436-450.
13. Shackleton, M. and Wojakowski, R. (2002) The expected return and exercise time of Merton-style real options. Journal of Business Finance & Accounting, 29, 541-555.
14. Trigeorgis, L. (1996) Real Options: Managerial Flexibility and Strategy in Resource Allocation. The MIT Press, Cambridge, MA.
15. Van Putten, A.B. and Macmillan, C. (2004) Making real options really work. Harvard Business Review, 82(12), 134-141.
16. Yaksick, R. (1996) Expected optimal exercise time of a perpetual American option: a closed-form solution. The Journal of Financial Engineering, 4, 55-73.